Abstract
- I proposed to investigate common factors that explain limit order cancellation activity. To date, the theoretical explanations of cancellation activity are focused on stock-level explanatory factors such as an intermediary choosing to cancel to avoid pick-off risk or non-execution risk for a particular stock in which he/she makes a market. In this paper we focus on systemic or "common" factors that affect cancellation activity. Initial results show a significant level of commonality in cancellation activity.